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  1. Article: Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?

    Just, Małgorzata / Echaust, Krzysztof

    Economics letters. 2022 June 10,

    2022  

    Abstract: This paper applies the dynamic Diebold–Yilmaz and Baruník–Křehlík spillover indices to document a closer integration between agricultural commodity markets in the period when markets rebounded after the COVID-19 threat to the Russia–Ukraine​ war. We also ...

    Abstract This paper applies the dynamic Diebold–Yilmaz and Baruník–Křehlík spillover indices to document a closer integration between agricultural commodity markets in the period when markets rebounded after the COVID-19 threat to the Russia–Ukraine​ war. We also identified the record return spillover transmission among agricultural commodities during a time of conflict and the strongest transmitters are wheat, maize and barley. The findings emphasise an increasing uncertainty to the global food market.
    Keywords COVID-19 infection ; barley ; corn ; uncertainty ; wheat
    Language English
    Dates of publication 2022-0610
    Publishing place Elsevier B.V.
    Document type Article
    Note Pre-press version
    ISSN 0165-1765
    DOI 10.1016/j.econlet.2022.110671
    Database NAL-Catalogue (AGRICOLA)

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  2. Article: Stock Market Returns, Volatility, Correlation and Liquidity during the COVID-19 Crisis: Evidence from the Markov Switching Approach

    Malgorzata, Just / Krzysztof, Echaust

    Financ Res Lett

    Abstract: This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed ... ...

    Abstract This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and market movements. We use the two-regime Markov switching model to find the structural break between stock market returns and key stock market indicators. The findings show close dependence between returns and both implied volatility and implied correlation but not with liquidity. The findings indicate the unique role of Italy in crisis transmission.
    Keywords covid19
    Publisher WHO
    Document type Article
    Note WHO #Covidence: #799558
    Database COVID19

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  3. Article ; Online: Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach.

    Just, Małgorzata / Echaust, Krzysztof

    Finance research letters

    2020  Volume 37, Page(s) 101775

    Abstract: This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed ... ...

    Abstract This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and market movements. We use the two-regime Markov switching model to find the structural break between stock market returns and key stock market indicators. The findings show close dependence between returns and both implied volatility and implied correlation but not with liquidity. The findings indicate the unique role of Italy in crisis transmission.
    Keywords covid19
    Language English
    Publishing date 2020-09-28
    Publishing country Netherlands
    Document type Journal Article
    ISSN 1544-6131
    ISSN (online) 1544-6131
    DOI 10.1016/j.frl.2020.101775
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  4. Book ; Online: MuRS

    Chen, Zimin / Salawa, Malgorzata / Vijayvergiya, Manushree / Petrovic, Goran / Ivankovic, Marko / Just, Rene

    Mutant Ranking and Suppression using Identifier Templates

    2023  

    Abstract: Diff-based mutation testing is a mutation testing approach that only mutates lines affected by a code change under review. Google's mutation testing service integrates diff-based mutation testing into the code review process and continuously gathers ... ...

    Abstract Diff-based mutation testing is a mutation testing approach that only mutates lines affected by a code change under review. Google's mutation testing service integrates diff-based mutation testing into the code review process and continuously gathers developer feedback on mutants surfaced during code review. To enhance the developer experience, the mutation testing service implements a number of suppression rules, which target not-useful mutants-that is, mutants that have consistently received negative developer feedback. However, while effective, manually implementing suppression rules require significant engineering time. An automatic system to rank and suppress mutants would facilitate the maintenance of the mutation testing service. This paper proposes and evaluates MuRS, an automated approach that groups mutants by patterns in the source code under test and uses these patterns to rank and suppress future mutants based on historical developer feedback on mutants in the same group. To evaluate MuRS, we conducted an A/B testing study, comparing MuRS to the existing mutation testing service. Despite the strong baseline, which uses manually developed suppression rules, the results show a statistically significantly lower negative feedback ratio of 11.45% for MuRS versus 12.41% for the baseline. The results also show that MuRS is able to recover existing suppression rules implemented in the baseline. Finally, the results show that statement-deletion mutant groups received both the most positive and negative developer feedback, suggesting a need for additional context that can distinguish between useful and not-useful mutants in these groups. Overall, MuRS has the potential to substantially reduce the development and maintenance cost for an effective mutation testing service by automatically learning suppression rules.
    Keywords Computer Science - Software Engineering
    Publishing date 2023-06-15
    Publishing country us
    Document type Book ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  5. Article ; Online: Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods

    Małgorzata Just / Aleksandra Łuczak

    Sustainability, Vol 12, Iss 6, p

    2020  Volume 2571

    Abstract: The dynamic development of commodity derivatives markets has been observed since the mid-2000s. It is related to the development of e-commerce, the inflow of financial investors’ capital, and the emergence of exchange-traded funds and passively managed ... ...

    Abstract The dynamic development of commodity derivatives markets has been observed since the mid-2000s. It is related to the development of e-commerce, the inflow of financial investors’ capital, and the emergence of exchange-traded funds and passively managed index funds focused on commodities. These advances are accompanied by changes in dependence structure in the markets. The main purpose of this study is to assess the conditional dependence structure in various commodity futures markets (energy, metals, grains and oilseeds, soft commodities, agricultural commodities) in the period from the beginning of 2000 to the end of 2018. The specific purpose is to identify the states of the market corresponding to typical patterns of the conditional dependency structure, and to determine the time of transition from one state to another. The copula-based Multivariate Generalized Autoregressive Conditional Heteroskedasticity models were used to describe the dynamics of dependencies between the rates of return on prices of commodity futures, while the dynamic Kendall’s tau correlation coefficients were applied to measure the strength of dependencies. The daily changes in the conditional dependence structure in the markets (changes in states of the markets) were identified with the fuzzy c -means clustering method. In 2000−2018, the conditional dependence structure in commodity futures markets was not stable, as evidenced by the different states of markets identified (two states in the grains and oilseeds market, the agricultural market, the soft commodities market and the metals market, and three states in the energy market).
    Keywords commodity futures ; copula ; generalized autoregressive conditional heteroskedasticity (garch) ; dynamic conditional correlation (dcc) ; constant conditional correlation (ccc) ; dynamic dependencies ; kendall’s tau coefficient ; state of market ; fuzzy clustering methods ; Environmental effects of industries and plants ; TD194-195 ; Renewable energy sources ; TJ807-830 ; Environmental sciences ; GE1-350
    Subject code 330
    Language English
    Publishing date 2020-03-01T00:00:00Z
    Publisher MDPI AG
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  6. Article: Sustainable development of territorial units: MCDM approach with optimal tail selection

    Łuczak, Aleksandra / Just, Małgorzata

    Ecological modelling. 2021 Oct. 01, v. 457

    2021  

    Abstract: In the face of accelerating climate change, economic instability and limited resources, it is essential to find indicators that better measure the sustainable development of territorial units. Despite ambiguous definitions of sustainable development, ... ...

    Abstract In the face of accelerating climate change, economic instability and limited resources, it is essential to find indicators that better measure the sustainable development of territorial units. Despite ambiguous definitions of sustainable development, numerous studies describe quantitative indicators of sustainable development. Main methodological problems include data availability and their use, spatial and time scales, selection of indicators, and their aggregation. Usually, analysts and decision-makers apply well known conventional methods that have numerous limitations. These methods in many cases cause excessive simplification of the real phenomena and relations between their determinants. Moreover, variables describing the development of territorial units (especially the environmental pillar) are often characterized by strong asymmetry or extreme observations. Even a single outlier for a given territorial unit may significantly affect the analysis and the resulting conclusions.The objective of this paper is to present the application potential of a Multi-Criteria Decision Making (MCDM) approach with an optimal tail selection to assess the sustainable development of territorial units. The proposed approach is based on the Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) and different methods of optimal tail selection of variable distribution. The Oja's spatial median and the optimal tail selection methods are used to reduce the impact of strong asymmetry and extreme values of variables. Moreover, the measure of cluster compactness is proposed for the evaluation of the proposed method. The proposed approach was used to assess the sustainable development of municipalities in Poland in 2018. We found that the automated Eye-Ball method and the Guillou and Hall's method enabled correct identification of extreme values of variables describing the economic, social, and environmental development of municipalities. This made it possible to distinguish the types of sustainable development level and its pillars and enabled to provide the statuses of the sustainable development level of the examined municipalities with respect to other municipalities in Poland.
    Keywords asymmetry ; automation ; climate change ; eyes ; sustainable development ; tail ; Poland
    Language English
    Dates of publication 2021-1001
    Publishing place Elsevier B.V.
    Document type Article
    ZDB-ID 191971-4
    ISSN 0304-3800
    ISSN 0304-3800
    DOI 10.1016/j.ecolmodel.2021.109674
    Database NAL-Catalogue (AGRICOLA)

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    In stock of ZB MED Bonn / Germany

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    Order via subito

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  7. Article ; Online: Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis

    Just, Małgorzata / Echaust, Krzysztof

    Finance Research Letters

    Evidence from the Markov switching approach

    2020  , Page(s) 101775

    Keywords Finance ; covid19
    Language English
    Publisher Elsevier BV
    Publishing country us
    Document type Article ; Online
    ISSN 1544-6123
    DOI 10.1016/j.frl.2020.101775
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

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  8. Article ; Online: Extreme Price Risk on the Market of Soybean Meal

    Just, Małgorzata / Śmiglak-Krajewska, Magdalena

    2015  

    Abstract: The price of soybean meal in Poland is related with the price quoted on the Chicago Board of Trade (CBOT). The aim of this study was to assess and compare extreme price risk on the market of soybean meal in Poland and on the market of futures contracts ... ...

    Abstract The price of soybean meal in Poland is related with the price quoted on the Chicago Board of Trade (CBOT). The aim of this study was to assess and compare extreme price risk on the market of soybean meal in Poland and on the market of futures contracts for soybean meal and soybean, quoted on the CBOT. For this purpose analyses were conducted on daily price series for soybean meal ex quay port of destination Gdynia as well as historical time series for daily closing quotes for futures contracts for soybean meal and soybean at the CBOT, from 23 February 2012 to 8 July 2015. Extreme risk was assessed using two measures: value at risk and expected shortfall, applying the extreme value theory. Results of analyses indicate a higher level of extreme price risk on the market of futures contracts for soybean meal and soybean. For both contracts we observe an asymmetry of the risk profile for the long and short positions in these contracts. No marked asymmetry in the risk profile was observed on the market of soybean meal in Poland.
    Keywords soybean meal ; futures contracts for soybean meal ; extreme value theory ; extreme price risk ; value at risk ; expected shortfall ; Poland ; Agribusiness ; Crop Production/Industries ; Demand and Price Analysis ; Risk and Uncertainty
    Language English
    Publishing country us
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  9. Article ; Online: EXTREME PRICE RISK ON THE MARKET OF RAPESEEDS AND PROCESSED RAPESEED PRODUCTS IN POLAND ; EKSTREMALNE RYZYKO CENOWE NA RYNKU RZEPAKU I PRODUKTÓW PRZEROBU RZEPAKU W POLSCE

    Just, Małgorzata / Śmiglak-Krajewska, Magdalena

    2015  

    Abstract: We can observe increasing volatility in rapeseed prices caused by the progressing process of globalisation in the turnover and processing of this raw material. It increases the exposure of rapeseed-producing entities and rapeseed-processing enterprises ... ...

    Abstract We can observe increasing volatility in rapeseed prices caused by the progressing process of globalisation in the turnover and processing of this raw material. It increases the exposure of rapeseed-producing entities and rapeseed-processing enterprises to price risk. The aim of this study is to assess the extreme price risk on the market of rapeseeds and processed rapeseed products in Poland. The study was based on average weekly rapeseed purchase prices and sales prices of refined rapeseed oil, rapeseed meal and rapeseed oilcake from 3 January 2005 and 19 April 2015. Extreme risk was measured with two measures: value at risk and expected shortfall. Extreme value theory was also applied. The research findings point to differences in the level of risk on the market of rapeseeds and processed rapeseed products.
    Keywords rapeseeds ; rapeseed meal ; rapeseed oilcake ; rapeseed oil ; extreme values theory ; extreme price risk ; Demand and Price Analysis
    Language English
    Publishing country us
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  10. Article ; Online: Pomiar zmienności cen na rynku ziarna roślin strączkowych uprawianych w Polsce oraz rynku śruty sojowej ; Measurement of price volatility for the grain of legume plants grown in Poland and for the soy cake

    Just, Małgorzata / Śmiglak-Krajewska, Magdalena

    2013  

    Abstract: An increased volatility of agricultural products' prices, observed in recent years, has caused a greater exposure of market participants to the market risk. The main goal of this article is to estimate the volatility of price returns in the grain legumes ...

    Abstract An increased volatility of agricultural products' prices, observed in recent years, has caused a greater exposure of market participants to the market risk. The main goal of this article is to estimate the volatility of price returns in the grain legumes grown in Poland and the ground soybean markets. The time series of monthly prices for grain legumes and soy cake in the period from January 2006 to December 2010 were the material for the research. For estimating the volatility of price returns were used: the classic and positional measures of volatility and ARMAX models. The results of the study have shown a large price volatility in the grain legumes and soy cake markets as well as that the predictable and unpredictable components of price returns should be distinguished in order to properly evaluate the real risk exposure. / Synopsis. Obserwowany w ostatnich latach wzrost zmienności cen na rynkach towarów rolnych powoduje większą ekspozycję uczestników rynku na ryzyko rynkowe. Celem opracowania było oszacowanie zmienności logarytmicznych stóp zwrotu cen na rynku ziarna roślin strączkowych uprawianych w Polsce oraz rynku śruty sojowej. Materiał badawczy stanowiły szeregi czasowe miesięcznych cen skupu ziarna rodzimych roślin strączkowych i śruty sojowej w okresie od stycznia 2006 do grudnia 2010 r. Do oszacowania zmienności cen towarów rolnych wykorzystano klasyczne i pozycyjne miary zmienności oraz modele ARMAX. Wyniki przeprowadzonych badań wskazują na dużą zmienności na rynku badanych towarów oraz zasadność rozróżnienia między przewidywalnymi i nieprzewidywalnymi składowymi stóp zwrotu cen, aby właściwie ocenić ekspozycję na ryzyko.
    Keywords price risk ; price volatility ; grain legumes prices ; soy cake prices ; / ryzyko cenowe ; zmienność cen ; ceny ziarna roślin strączkowych ; ceny śruty sojowej ; Agribusiness ; Crop Production/Industries ; Demand and Price Analysis ; International Relations/Trade ; Research Methods/ Statistical Methods ; Risk and Uncertainty
    Subject code 330
    Language Polish
    Publishing country us
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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